1. As we fade into the WB logo, we can hear Nagini's parceltongue dialog lifted directly from the opening of GOF when she's telling her master, Voldemort, that someone (the old muggle caretaker) is at the door.
2. Continuity from COS: The wide shot of Little Whinging is nearly identical to the wide shot of LIttle Whining in COS except for the addition of the large field on the outskirts which could have simply been out of focus in the COS shot.
3. We have our first instance of Film-Harry wandering off quite far from home. In the book, he only walked within a few blocks of Privet Drive. In the HBP film, he will wander off even further, during his summer break, to the tube station.
4. Harry walks past a group of kids on bicycles. This could be a reference to the book where Dudley and his gang had bikes.
5. Harry is reading a newspaper while sitting on the swing. It's hard to notice but as he jumps up to threaten Dudley, you can see it blowing away.
6. Dudley and his gang are decked out in hip-hop garb. Dudley has a G-unit patch on his pants. The film version depicts Dudley as a wigger. Something not in the book.
7. Notice how the Dementers zero in on Harry after Dudley has taunted him making him obviously feel depressed. Dementers feed off of depression and despair.
8. Dudley is talking about how this particular ten-year he beat up deserved it. This rationalization of harsh measures is something that will be echoed by Umbridge many times later in the film and also something Harry will grapple with himself as he casts Crucio on Bellatrix..
9. Harry has a negative relationship with his cousion just like Sirius has a bad relationship with his cousion, Bellatrix. Another form of bond and connection between the two.
10. The underpass Harry and Dudley take shelter in is heavily graffitied lending a gritty sense of realism and urbanism. It was very likely Dudley and his gang were the artists.
11. Apparently Dementers can either make themselves insivible, move through walls and solid objects or apparate since we do not see the Dementer creep up on Harry, he simply appears suddenly behind him.
12. Continuity with POA: The lights flicker and the air becomes much colder when dementers appear. Dementers can also touch and manipulate the physcial world as was seen in POA and is mantained here when the Dementer picks Harry up and strangles him. They look slightly different than in POA but this can simplely be because they aren't wearing cloaks. Their mouths are pretty much the same.
13. Harry uses his wand like a knife as he slashes the Dementer who is holding him up against the wall. This is a bit of a reference to the book where Uncle Vernon has his hand around Harry's neck and Harry's body enamates a magical shock that causes Vernon to release him. Similar to what Harry does here, except he uses his wand. Neither hex required the use of a incantation.
14. Harry hesistates a fraction of a second before saving Dudley.
15. Continuity with POA: This is the second time we see Harry's fully formed patronus: the stag. The first time was at the end of POA when he saves himself and Sirius across the lake.
16. Mrs. Figg is cleverly wearing a raincoat. She had to have carried it on her just in case, in the small trunk/case she is wheeling around since the storm came so suddenly and she would not have had time to race back home to get a rain coat if she were tailing Harry.
17. Every single lawn on Privet Drive has their sprinklers on. This is perhaps a jokey reference to the book where sprinkler use was banned because of the drought but everyone on Privet drive put them on anyway, at night-time.
18. The only reference to the blood-bind love charm Dumbledore put on 4 Privet Drive in the films is when Mrs. Figgs puts such emphasis on her line, "Whatever happens: DON'T LEAVE THE HOUSE."
19. Along with all the pictures of young Dudley and his family from PS/SS, there is a new picture of Dudley posing with his boxing gloves and helment on. It's right in focus in the first shot inside the house. This is a reference to the book where Dudley has become a champion boxer at his school.
20. Petunia is watching the weather. Perhaps this is Ted or Jimmy Macguffin, the news reporters on TV in the begining of the PS book. We can hear Petunia click off the TV as Dudley walks in.
21. There is a small practice punching bag in the living area. We can see it next to Harry as he's sitting on the stool at the island in the kitchen.
22. The owl who delivers Harry's letter from the Ministry is probably so harrased and exzausted from delivering letters all day or collapses because the letter is an howler and was causing the owl a great deal of pain.
23. When we see the letter on the couch, we can see Petunia's electric fan next to it and the TV remote control.
24. If you notice Petunia's face, she seems sad and dissapointed when the letter announces Harry has been expelled from Hogwarts. Perhaps she is rembering her own rejection letter? The witch who sent the letter is Mafalda Hopkirk, the Ministry employee Hermione will impersonate in DH1.
25. Vernon blurts out, "Justice!" If Vernon were a wizard, he would support the Fudge Administration and the Ministry of Magic at this time. This connects the ignorance and arrogance of the Dursleys with the Ministry of Magic's own brand of ignorance and arrogance.
26. When he is alone in his room and smashes his fists against the wall, Harry knocks over a picture of his parents. When we see the picture again later when Harry puts it back, we can see the frame has been cracked. Harry cannot use repairo to fix it since he'd be in danger of using more magic outside school.
37. On Harry's bedside desk, we can see an empty food dish with a few crumbs in it and a drink container. Harry eats his meals in his room.
38. On Harry's wall are selections from the wizarding comic, "Martin Miggs, the Mad Muggle" as well as drawings of owls and Quidditch plans and other Quidditch stuff. On his wardobe are programmes from the 422nd Quidditch World Cup Final he attended the year before with the Weasleys.
39. If we listen in the background, we can hear Tonks drop a cup and crack it downstairs as Harry wakes up from his dream.
40. As Harry's door magically shoots open we can hear Tonks saying, "Very clean these muggles."
41. Connection to COS: Harry asks Moody what he is doing there and Moody replies "Rescuing YOU of-course." This is exactly what Harry and Ron say in COS when they rescue him in the flying car.
 42. Members of the Advance guard present in the film: Alastor Moody, Nymphadora Tonks, Kingsley Shacklebolt, Emeline Vance and Elphias Dodge.
43. As the Advance guard and Harry line up on the lawn, we can see Elphias Dodge take off his hat. He is wearing the same clothes or similar clothes his character is wearing in DH1, even though it's a different actor.
44. Moody's broomstick is like an Easy Rider motorcycle. We can even hear it has an engine.
45. Mad Eye's line, "Don't break rank if one of us is killed!" is foreshadowing his death in DH1 during a similar escort of Harry. If you notice, Tonks is rolling her eyes as Moody says this.